Linear Correlation and EVT: Properties and Caveats

Paul Embrechts

Journal of Financial Econometrics, 2009, vol. 7, issue 1, 30-39

Abstract: Due to the current credit crisis, critical questions are being asked concerning some of the quantitative methods used in risk management under the Basel II proposals. In this paper I have given a critical look at Extreme Value Theory and Copulas. Both their potential applications and the possible caveats are discussed, and this mainly with the subprime crisis as a background. Copyright The Author 2008. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press.

Date: 2009
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